Trend-Following Backtester · Guide · backtest 한국어
etf · GB
Personal Assets Trust PLC GBP backtest
10 trend-following strategies were compared on the full daily history of Personal Assets Trust PLC GBP. 8 beat buy-and-hold CAGR; Keltner 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Keltner 채널 돌파 (CAGR 4.6%, MDD -28.7%).
Results by strategy
8 of 10 beat buy and hold (CAGR -4.1%, drawdown -99.1%).
Sharpe leader (same as main): Keltner 채널 돌파 — CAGR 4.6%, MDD -28.7%, Sharpe 0.55, 19% exposure.
CAGR reference leader: Supertrend — CAGR 5.2%, MDD -99.1%, exposure 60%.
Return/drawdown alternative: Keltner 채널 돌파 — CAGR is 8.7%p higher than buy and hold, while drawdown improves by 70.3%p (CAGR 4.6%, MDD -28.7%, exposure 19%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Keltner 채널 돌파 emaPeriod=17, atrPeriod=23, mult=3.5 |
4.6% | -28.7% | 0.55 | 0.16 | 7.0x | 92 | 19% |
| 볼린저 밴드 돌파 n=14, k=2.6 |
2.6% | -35.8% | 0.33 | 0.07 | 3.0x | 212 | 23% |
| ADX / DI 방향성 period=12, threshold=30 |
1.4% | -71.4% | 0.20 | 0.02 | 1.8x | 300 | 29% |
| ROC 모멘텀 n=23, threshold=-0.05 |
5.1% | -99.0% | 0.15 | 0.05 | 8.3x | 135 | 93% |
| Supertrend period=21, mult=4.9 |
5.2% | -99.1% | 0.15 | 0.05 | 8.9x | 158 | 60% |
| Donchian 채널 돌파 entryN=22, exitN=49 |
-5.4% | -99.1% | 0.15 | -0.05 | 0.1x | 137 | 74% |
| EMA 크로스오버 fast=10, slow=23 |
1.8% | -99.5% | 0.15 | 0.02 | 2.1x | 369 | 60% |
| Parabolic SAR step=0.01, maxStep=0.26 |
1.3% | -99.6% | 0.15 | 0.01 | 1.8x | 481 | 59% |
| MACD fast=22, slow=28, signal=23 |
0.8% | -99.5% | 0.15 | 0.01 | 1.4x | 445 | 51% |
| SMA 크로스오버 fast=10, slow=49 |
-7.6% | -99.2% | 0.15 | -0.08 | 0.0x | 265 | 61% |
| Buy and hold | -4.1% | -99.1% | 0.15 | -0.04 | 0.2x | 1 | 100% |
Rules of the top strategy
Breaking above the channel top (average plus a multiple of volatility) signals an upside breakout.
- Buy — Buy when the close breaks above the 17-day average + 3.5× volatility (Keltner top)
- Sell — Sell when the close falls back to the 17-day average